Can anyone recommend any books on kelly criterion? I was about to buy "The Kelly Capital Growth Investment Criterion", but amazoncancelled my order, saying it's not being published or something.Thanks in advance.

Hi all:Can someone show me how to find Vega PDE for American option?I know for European option, I can get the pde by taking derivative wrt sigma on the whole BS PDE:At this point, I could solve it to get vega by FDM.How can I adjust this for american options?

<t>I think the answer somghosh7 is looking fore is seigniorage. I vaguely remember that it has something to do with FED prints new money. When FED prints money, whoever holds US currency will be subject to US inflation. The value decreased in old money is transfered into the new money, which is now ...

<t>To Cuchulainn:Our company makes firewall and related network equipment. The coding is either 1)kernel module or 2)low level daemon. I'm just a junior developer who happened to have some HR duty that was not a part of job description...To ehermo:Well, it is kind of confusion. Normally a container ...

that's right XD, and that's how linux kernel implements its linked list. I handles all the pre-interview tests for my company (but i don't make decision, I just arrange and administrate the test). 2 years and hundreds of applicant, the # of ppl who got that right is a single digit.

<t>My company uses this question in pre-interview test. After I learn the answer, I find it very clever. And this is actually pretty practical: I know one major open source project uses this trick extensively.QUESTION 8: Given a pointer to member a within a struct, write a routine that returns a poi...

<t>I think the gamma term is wrong. It's more like 1/2 * gamma * (RV^2 - IV^2) * S^2 where S is the underlying price. Also since you include gamma, you should add a theta term too. When you have a large gamma, you often have a large theta to work against the gamma term. Also, to calculate greeks, yo...

<t>I'm a little confused what you're asking. When you price option using implied vol, you always get the "right" price (ie. the market price). Since implied vol is the vol you put in BS so that market price and BS price matches. Therefore, if you want to find out option value is and uses implied vol...

you use the one at t=1.at t=0, you used delta at t=0 to hedge. if at t=1 you still use delta at t=0 to hedge, you're not really rebalanced.

what data did you use? actually, see this for more help:http://www2.gsu.edu/~mkteer/npdmatri.html

<t>You can do a PCA on past data to figure out the volatility. Say you have daily data on 10 different maturities for the past year. You first find the daily changes for each maturity. since you have 10 maturites you will end up having 10 daily change data set. next you will calculate the covariance...

<t>Hi all. I'm very curious: what's the point of binomial tree when you can have fdm, especially for simple contract like American vanilla option? I understand binomial tree is a special case of explicit fdm, and binomial method can only find option price for one underlying price. It seems there's n...

<t>Sounds like senior life settlement. it's basically a life insurance policy from senior. I was told a lot of these polices terminates prematurely, because 1) people can't pay the premium anymore, 2) people no longer wants them. An investor could buy these policies at deep discount, then keep payin...

<t>I have this book. But no, I didn't finish reading this from cover to cover. The book is more like "the missing math manual for wilmott or hull". The first part of the book shows you how to setup PDEs for vanilla, exotic and interest rate in great detail. The 2nd part then shows you how to *SETUP*...

Well, this is not really a math finance book. this is a math review book that targets financial applications. I have both wilmott and hull, and skimmed through a very old preprint Shreve. They're very different from this book.